Sökning: "Contingent Convertible Bonds"

Visar resultat 6 - 10 av 12 uppsatser innehållade orden Contingent Convertible Bonds.

  1. 6. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. LÄS MER

  3. 7. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Sammanfattning : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. LÄS MER

  4. 8. The Determinants of European Coco Spreads

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Carl-Fredrik Hallden; Blomqvist Blomqvist; [2016-09-21]
    Nyckelord :Contingent Convertible bonds; Cocos; Coco spreads; Hybrid Securities; Basel III; Additional Tier 1; Tier 2; Banks;

    Sammanfattning : Contingent Convertible (Coco) bonds are hybrid capital securities that absorb losses when the capital of the issuing bank falls below a certain level. Previous research has mainly been focusing on the pricing of such instruments and this paper contributes to the eld by empirically examining the determinants of Coco bond spreads for European banks. LÄS MER

  5. 9. Valuation of Contingent Convertible Bonds

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Alexander Back; William Keith; [2016]
    Nyckelord :Contingent Convertible Bonds; Hybrid Capital; Capital Structure; Capital Adequacy Regulation; Basel III; Risk-NeutralValuation;

    Sammanfattning : Contingent convertible bonds are hybrid capital instruments, contingent on some form of indicator of financial distress of the issuing bank. Following the financial crisis, these instruments are proposed as a solution to the moral hazard issue of banks too big to fail. LÄS MER

  7. 10. Global Evaluation of Contingent Convertibles: Testing for Evidence of Market Discipline in the CoCo Market

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :David Iseklint; David Bengtsson; [2014]
    Nyckelord :Contingent convertibles; CoCo bonds; market discipline; monitoring; accounting risk indicators; bank risk; Basel III.; Business and Economics;

    Sammanfattning : In this paper, we investigate evidence of market discipline from contingent convertible (CoCo) issues. Previous research has focused on the monitoring aspect of market discipline, by testing risk sensitivity of market prices (subordinated notes and debentures (SND)) to accounting measures of bank risk. LÄS MER